Greetings I have just started looking at OpenGamma as a potential platform to extend with Bank Loan asset class and TRS (over bank loans). Interested in any comments on the demand for loans in Strata and appropriateness for including this asset class. Thank you.
Thanks for your interest in Strata.
Strata already has the concept of a Term Deposit which is a bank loan by another name (we are guided by FpML names). However, the pricing of a term deposit does not cover credit risk, is that what you are looking for?
We don’t have Total Return Swaps at the moment, and it would certainly be something useful to add. There would be some interesting modelling questions over how generic the class should be (as a TRS can be over many different asset classes, do each need to be modelled and priced separately in Strata or not?).
Were you looking for OpenGamma to do the work, or to do the work yourselves? We have no plans to do any work in this area at the moment, but feel free to contact us directly if you are looking to sponsor us to do so.
I’m interested in personally developing a comprehensive open source loan and possibly loan TRS platform in Java for the potential purpose of hosting a web-based product. The product in question is quite specific and broad in scope. I started looking at existing Java platforms to cover basics and curves and discovered strata but concluded that it would be better to extend Strata rather than simply leverage pieces of it within an independent platform.
So my question was essentially is there any perceived bid for this product in Strata and is this a product that “belongs” within the scope of Strata.
Since I am not yet trusted to put links in replies, you can find the definition of these products within FpML (LoanFpML_ServicingReq_v5x.pdf) and my CV on LinkedIn.
As things stand, we at OpenGamma have heard no specific demand for Loans (as per FpML). We are more focussed on derivatives. However, Strata is intended to be a collection of useful asset classes, and if it is in FpML then that is a good guide as to whether it could be considered for Strata.
Personally, I think its great that you are considering adding the a asset class like this. But as an OpenGamma employee, I have to be aware that there is a cost to OpenGamma of integrating your code with no immediate benefit to the business. Ultimately, this is your choice. You can write the code in public or in private based on Strata. If done in public, you can do so by forking Strata or you could just create a separate project that depends on Strata. If it is public, then both you and us can see if it gains adoption, and at that point we could consider bringing it into Strata. If you do decide to do it in public then I can provide some advice on what needs doing.
Hope that helps, even if it might not be exactly what you were expecting.
Understand completely, thanks. I will play around with a fork and see if anything useful evolves.
Hi there Stephen!
I have stumbled upon this thread while searching for TRS integration in Open Gamma. As the last communication was a while ago I just wanted to check if there are any updates on your end, or the position is the same as it was on Jun 17?
Hi Mikas. I have developed an initial syndicated bank loan library based on Strata; see https://loansum.org. Note that the functionality of this library is very specific to the loan product as described in FpML 5.11. The focus on this initial effort was to program correct cash flows with accompanying explains for the bank loan product. My work on loansum is paused at the moment but I am hoping to focus on FpML support next once the 5.11 standard is finalized.
Great to see the Loan Sum code out there as open source! I think building on top of Strata was definitely the right approach in this case.